학회소식
[2012년 제 4차] Positive Feedback Trading, Short Sale Constraint, a
작성자 : 관리자
조회수 : 1107
게시일 :
2012-12-12
This paper develops a dynamic trading model to explore the impacts of positive feedback trading on IPO underpricing in the presence of short-sale constraint. When positive feedback trading is strong, the speculator adopts a three-stage strategy: bids in the offering lottery to obtain cheap stakes; purchases stocks in the aftermarket to drive up the price; sells his stakes obtained from the offering when positive feedback traders are induced to buy, leading to a higher price. This model shows the aftermarket price can be overpriced even though the IPO price is at the fair value. The predictions of the model are supported by a sample of Chinese IPOs.
